Quantitative Researcher - Rates

About the Role

Millennium, a leading global hedge fund dedicated to harnessing technological innovations and data science, is expanding its Quant Technology team focused on developing superior analytics and trader support tools. This position belongs to the Fixed Income & Commodities Technology (FICT) unit that creates and maintains proprietary pricing libraries supporting trading activities across Fixed Income, Commodities, Credit, and Forex markets. The role offers a fast-paced, dynamic environment with significant growth potential.

Key Responsibilities

• Collaborate closely with quantitative analysts in London, Geneva, and New York to maintain and enhance a comprehensive cross-asset pricing and risk management library.
• Partner with trading professionals and fellow quantitative researchers to deliver advanced Rates-focused pre-trade, pricing, and risk analytics solutions.

Required Qualifications and Skills

• Prior experience in developing valuation and pricing models specifically for Linear Rates products, encompassing interest rate curve construction, inflation modeling, and derivative instrument pricing.
• Preferred but not mandatory experience with foreign exchange products, including vanilla and exotic options.
• Proficient understanding of at least one major numerical method, such as Monte Carlo simulations, Finite Difference, or Finite Element methods.
• Familiarity with professional modern C++ programming practices is desirable.
• Experience providing analytical support to traders or portfolio managers, including PnL and risk explanation or pre-trade analysis tool development.
• Strong analytical thinking and mathematical expertise.
• Excellent problem-solving skills with a commitment to accuracy and attention to detail.
• Highly organized with a strong sense of ownership and thoroughness in delivering work.
• Effective communication abilities.